Financial stability report 2014:1
2014-06-04
European stress index Ranking (1=high stress, 0=low stress) 1,0 0,9 0,8 0,7 0,6 0,5
0,4 0,3 0,2 0,1 0,0 07
08
09
Money market Financial intermediaries Chart 1:1
10
11
Bond market Foreign exchange market
12
13
14
Stock market Stress index Source: European Central Bank (ECB)
Swedish stress index Ranking (1=high stress, 0=low stress)
Chart 1:2
Sources: Bloomberg and the Riksbank
CET 1 capital ratios in accordance with Basel III Per cent 20
15
10
5
0
Handelsbanken
Nordea March 2012
Chart 1:3
SEB March 2013
Swedbank
March 2014 Sources: Bank reports and the Riksbank
The four Basel III measures December 2013, per cent 180
18
16,5
160
16 137
140
14
120 100
12 100
100
99,5
80
10 8
7,0
60
6 4,1
40
3,0
4
20
2
0
0 LCR
NSFR
Liquidity, left scale
Minimum level Basel III Chart 1:4
CET 1
Leverage ratio
Capital, right scale
Major Swedish banks Sources: Bank reports, BIS and the Riksbank
Lending by the major Swedish banks in the Riksbank's main scenario SEK billion 10 000
8 000
6 000
4 000
2 000
0 14 Sweden, corporates Denmark Other countries Chart 1:5
15 Sweden, households Finland
16 Norway The Baltic countries
Source: The Riksbank
Profits before loan losses and loan losses in the major Swedish banks Rolling four quarters, SEK billion, fixed prices, March 2014 120 100 80 60 40
20 0 -20 91
93
95
97
99
01
03
Profit before loan losses Chart 1:6
05
07
09
11
13
15
Loan losses Sources: Bank reports and the Riksbank
The banks’ assets in relation to GDP December 2013, per cent Switzerland Netherlands Sweden United Kingdom Spain France Denmark Cyprus Austria Germany Portugal Greece Luxembourg Average Ireland Italy Belgium Slovenia Finland Latvia Hungary Poland Bulgaria Czech Republic Slovakia Lithuania Romania Estonia
0
Chart 1:7
100
200
300
400
500
Sources: ECB, the European Commission, the Swiss National Bank and the Riksbank
The major Swedish banks’ wholesale funding via Swedish parent companies and subsidiaries SEK billions 4 000
3 500 3 000 2 500 2 000 1 500 1 000 500 0 02
03
04
05
06
07 SEK
Chart 1:8
08
09
10
11
12
13
14
Foreign currency Sources: Statistics Sweden and the Riksbank
The major Swedish banks' funding March 2014, per cent 0,2
5
24
47
10
14
Interbank, net Chart 1:9
Covered bonds
Senior bonds
Certificates
Deposits
Other
Sources: Bank reports and the Riksbank
The major Swedish banks' lending December 2013, per cent
Chart 1:10
Sources: Bank reports, Statistics Sweden and the Riksbank
Owners of Covered Bonds December 2013, per cent
22 36
26 6 9 Swedish banks Swedish insurance companies Other financial institutions, including Swedish funds Public sector including National Swedish Pension Funds Foreign investors Chart 1:11
Sources: Statistics Sweden and the Riksbank
The major Swedish bank's liquidity coverage ratio (LCR) February 2014, per cent 300
250
200
150
100
50
0
USD Chart 1:12
EUR
SEK
All currencies
Sources: Finansinspektionen and the Riksbank
Equity in relation to total assets December 2013, per cent Raiffeisen Bank BBVA Erste Bank Intesa Sanpaolo Banco Santander HSBC Swedbank DNB UniCredit RBS Average Credit Suisse BNP Paribas SEB UBS Commerzbank Barclays Lloyds Nordea Danske Bank Handelsbanken Société Générale Deutsche Bank Crédit Agricole
0 Chart 1:13
1
2
3
4
5
6
7
8
Source: SNL Financial
Equity in relation to total assets, Swedish bank Per cent 35
30
25
20
15
10
5
0 1870 1880 1890 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 Chart 1:14
Sorces: Hortlund, Do Inflation and High Taxes Increase Bank Leverage?, SSE/EFI Working Paper Series in Economics and Finance, No 6122005, November 2005 and the Riksbank
Household debts in various countries December 2012, percentage of disposable income Denmark The Netherlands Ireland Norway Switzerland Sweden Canada United Kingdom Portugal Spain Japan Finland USA France Belgium Austria Germany Italy 0 Chart 1:15
50
100
150
200
250
300 Source: The OECD
The Swedish households' debt and real property price index Per cent, total debt as a proportion of disposable income and index, 2000 Q1 = 100 200 180 160 140 120 100 80 60 80
85
90 Debt ratio
Chart 1:16
95
00
05
10
Real property price index
Sources: Statistics Sweden and the Riksbank
Household expectations of the variable mortgage rate one, two and five years ahead Per cent 7 6 5 4 3
2 1 0 13
14
15
16
Repo-rate +1.7 percentage points
17
18
19
Repo-rate +2.0 percentage points
Households' mortgage-rate expectations Chart 1:17
Sources: The National Institute of Economic Research and the Riksbank
The credit-to-GDP ratio and statistical trend according to the Basel Committee's standard method Per cent 160 140 120 100 80 60 40 20 0 80
82
84
86
88
90
92
94
96
Credit-to-GDP ratio
Chart 1:18
98
00
02
04
06
08
10
12
Trend
Source: The Riksbank
The countercyclical buffer rate according to the Basel Committee's standard method Per cent 3,0
2,5
2,0
1,5
1,0
0,5
0,0 80 Chart 1:19
82
84
86
88
90
92
94
96
98
00
02
04
06
08
10
12
Source: The Riksbank
The major Swedish banks' results in the Riksbanks' structural liquidity measure Per cent 100 90 80 70 60
50 40 30 20 10 0 08 Chart 1:20
09
10
11
12
13
14
Sources: Liquidatum and the Riksbank
The credit-to-GDP ratio and statistical trend according to the Basel Committee's standard method Per cent 160 140 120 100 80 60 40 20 0 80
82
84
86
88
90
92
94
96
Credit-to-GDP ratio
Chart B1:1
98
00
Trend
02
04
06
08
10
12
Average
Source: The Riksbank
The countercyclical buffer rate according to the Basel Committee's standard method Per cent 3,0
2,5
2,0
1,5
1,0
0,5
0,0 80 Chart B1:2
82
84
86
88
90
92
94
96
98
00
02
04
06
08
10
12
Source: The Riksbank
The countercyclical buffer rate according to the Basel Committee's standard method with no upper limit for the buffer rate Per cent 8 7 6 5
4 3 2 1 0 80 Chart B1:3
82
84
86
88
90
92
94
96
98
00
02
04
06
08
10
12
Source: The Riksbank
The credit-to-GDP ratio and alternative trend using Norges Bank's method Per cent 160 140 120 100 80 60 40 20 0 80
82
84
86
88
90
92
Credit-to-GDP ratio
Chart B1:4
94
96
98
00
Standard trend
02
04
06
08
10
12
Alternative trend
Source: The Riksbank
The countercyclical buffer rate in Sweden according to Norges Bank's method Per cent 3,0
2,5
2,0
1,5
1,0
0,5
0,0 80
82
84
86
88
90
92
94
96
98
00
02
04
06
08
10
12
Countercyclical buffer rate according to Norges Bank's method Countercyclical buffer rate according to the standard method
Chart B1:5
Source: The Riksbank
Credit funded by non-stable funding Per cent of GDP 40 35
30 25 20 15 10 5 0 80 Chart B1:6
82
84
86
88
90
92
94
96
98
00
02
04
06
08
10
12
Source: The Riksbank
Real house prices and statistical trend Index, 1980 Q4=100 200 180
160 140 120 100 80 60 40 20 0
80
82
84
86
88
90
92
94
96
98
Real house prices
Chart B1:7
00
02
04
06
08
10
12
Trend
Source: The Riksbank
The major Swedish banks LCRs Per cent
Chart B1:8
Sources: Finansinspektionen and the Riksbank
The major Swedish banks average and lowest LCR levels in Swedish kronor Per cent
Chart B1:9
Sources: Finansinspektionen and the Riksbank
Distribution of the major Swedish banks' liquidity buffers March 2014, per cent 45 40 35 30 25 20 15 10 5 0 SEK
Euro Level 1
Chart B1:10
Level 2
USD
Other
Level 2 excluded from LCR Sources: Finansinspektionen and the Riksbank
The major Swedish banks' need for additional level 1 assets to reach an LCR in kronor of 60 per cent, compared to outstanding government bonds SEK billion 900 800 700 600 500 400
770
300 200 50
100 100
0 Level 1 assets today
Chart B1:11
Additional need for level 1 assets
Outstanding government bonds
Sources: Finansinspektionen, the Swedish National Debt Office and the Riksbank
Chapter 2
2014-06-04
Expected volatility on the bond and stock markets Index
Chart 2:1
Sources: Reuters EcoWin and the Riksbank
Expected volatility on the bond and stock markets Index
Chart 2:2
Sources: Reuters EcoWin and the Riksbank
Ten-year government bond yields Per cent 4
3
2
1
0 11
12 United States
Chart 2:3
13 Germany
United Kingdom
14 Sweden Source: Reuters EcoWin
Developments on the stock market Index, 1 January 2013 = 100
Chart 2:4
Sources: Bloomberg and the Riksbank
The difference between the yield on European corporate bonds and German government bonds Percentage points 5,0 4,5 4,0 3,5 3,0 2,5 2,0 1,5 1,0 0,5 0,0 07
08
09 Corporates, AA
Chart 2:5
10
11 Corporates, A
12
13
14
Corporates, BBB
Sources: Reuters EcoWin and the Riksbank
Risk premia for Swedish corporate bonds Basis points 250
200
150
100
50
0 08 Chart 2:6
09
10
11
12
13
14 Source: NASDAQ OMX
Issued volumes for Swedish corporates, regardless of currency and number of issuers EUR billion and number 18
18
10
14
13
20
13
16
12
14
20
25
45
59
01
02
03
04
05
06
07
08
09
10
11
12
13
16 14 12 10 8 6 4 2 0 Higher credit worthiness Chart 2:7
Lower credit worthiness Sources: Dealogic and the Riksbank
Emerging market economies' exchange rate against US dollar Index, 1 January 2013 = 100
Chart 2:8
Source: Bloomberg and the Riksbank
Ten-year government bond yields Per cent 18 16 14 12 10 8 6 4 2 0 08
09 Italy
Chart 2:9
10 Spain
11 France
12 Portugal
13 Ireland
14 Germany Source: Reuters Ecowin
Balances in Target2 EUR billion 900 700 500 300 100 -100 -300 -500 11
12 Germany
Chart 2:10
Spain
13 Italy
Portugal
14 Ireland
Greece
Source: Bloomberg and the Riksbank
The banks' lending to non-financial companies Annual growth rate, per cent 40 30 20 10 0 -10 -20 -30 04
05
06
07
08 Germany
Chart 2:11
09 Spain
10 France
11
12
13
14
Italy
Source: ECB
Covered bond yield and the swap rate Per cent 8 7 6 5 4 3 2
1 0 09
10 Italy
Chart 2:12
11 France
Spain
12 Germany
13 Sweden
14 Swap rate
Sources: Barclays Research and Bloomberg
Five-year CDS premiums for banks Basis points 700 600 500
400 300 200 100 0 11
12 Germany
Chart 2:13
Spain
13 France
Italy
14 Netherlands
Sweden
Sources: Bloomberg, Reuters EcoWin and the Riksbank
Swedish banks' funding cost via covered bonds Basis points
Diagram 2:14
Source: Bloomberg and the Riksbank
The risk premium on the interbank market Basis points
Chart 2:15
Sources: Bloomberg and the Riksbank
Stibor and the interest rate for unsecured loans from tomorrow until the day after tomorrow between the banks in the Stibor panel Per cent
Chart B2:1
Source: The Riksbank
Chapter 3
2014-06-04
Housing prices in Sweden Index, January 2005=100 220
200
180
160
140
120
100
05
06
07
08
09
Tenant-owned apartment
Chart 3:1
10
11
12
13
14
Single-family houses
Sources: Valueguard and the Riksbank
The Swedish households' debts Annual percentage change
Chart 3:2
Sources: Statistics Sweden and the Riksbank
The Swedish households' debt ratio Per cent, total debt in relation to disposable income 200 180 160 140 120 100 80 60
71
74
77
80
83
86
Debt ratio
Chart 3:3
89
92
95
98
01
04
07
10
13
16
Debt ratio, incl. tenant-owner associations
Sources: Statistics Sweden and the Riksbank
Average debt of Swedish tenant-owner associations in different municipalities SEK per square meter of living space 7 000 6 000 5 000
4 000 3 000 2 000 1 000 0 Stockholm
Göteborg 2007
Chart 3:4
Malmö
Whole country
2012 Source: Värderingsdata
Debt ratios for different groups, 2013 Per cent, debt in relation to disposable income 400 350 300 250 200 150 100 50
0 All, even nonindebted Chart 3:5
Only indebted
Only mortgage borrowers
New mortgage borrowers
Sources: Statistics Sweden, Finansinspektionen and the Riksbank
Household debt ratios in different income groups, only mortgage borrowers Per cent, debt in relation to disposable income 600
500
400
300
200
100
0 1
Chart 3:6
2
3
4
5 6 7 Income groups (deciles)
8
9
10
Source: The Riksbank
Proportion of mortgage borrowers that has increased, decreased or kept their debts unchanged between 2012 and 2013, and calculated repayment rate Percentages 4 10 23 Repaid all debt 0 to 10 years
15
10 to 30 years 30 to 50 years >50 years
16 10
Unchanged debt
Increased debt
23 Chart 3:7
Source: The Riksbank
The Swedish households' assets and debts Per cent of disposable income 700
600 500 400
300 200 100 0 71
74
77
80
83
86
89
92
95
98
01
Total assets excluding collective insurance
Real assets
Financial assets
Debt
04
07
10
13
Cash and bank deposits
Chart 3:8
Sources: Statistics Sweden and the Riksbank
The share of debt held by indebted households in different income groups, 2013 Per cent 35 30
25 20 15 10 5
0 1
2
3
4
5
Income groups (quintiles) Chart 3:9
Source: The Riksbank
The share of financial assets and real assets held by indebted households in different income groups, 2007 Per cent 50
40
30
20
10
0 1
2
3 Income groups (quintiles)
Percentage of financial assets Chart 3:10
4
5
Percentage of real assets Sources: Statistics Sweden and the Riksbank
The Swedish households' interest expenditure Per cent of disposable income 12
10
8
6
4
2
0
71
75
79
83
87
91 Debt ratio
Chart: 3:11
95
99
03
07
11
15
Forecast
Sources: Statistics Sweden and the Riksbank
The Swedish households' expectations of housing prices Net figures 80
60 40 20 0 -20 -40 -60
-80 04 Chart 3:12
05
06
07
08
09
10
11
12
13
14 Source: SEB
Swedish corporate debt Annual percentage change
Chart 3:13
Sources: Statistics Sweden and the Riksbank
Swedish corporate debt Total debt as a percentage of GDP
Chart 3:14
Sources: Statistics Sweden and the Riksbank
Non-financial companies' debt in different countries, 2013 Percentage of GDP
Sweden
Sweden, excl. intra-company loans
0 Chart 3:15
100
200
300
400
Sources: Bank for International Settlements, Statistics Sweden and the Riksbank
Default rate for Swedish companies Per cent
Chart 3:16
Sources: Swedish Companies Registration Office, Statistics Sweden and The Riksbank
Expected default frequencies for Swedish companies Median
Chart 3:17
Source: Moody's KMV
Commercial property prices in Sweden Index, 1984=100 300
250
200
150
100
50
0 84
87
90
Commercial property
93
96
99
02
05
08
11
Commercial property for residential purposes
Real house price index
Chart 3:18
Sources: IPD and the Riksbank
Number of corporate bankruptcies Twelve-month moving average, index, 2007=100 350 300 250 200 150 100 50 0
00
02
04 Sweden
Chart 3:19
06
08 Denmark
10 Finland
12
14
Norway
Sources: Reuters EcoWin and the Riksbank
Households' debt ratio and consumption in Denmark Debt as a percentage of disposable income and DKK billion 320
200
300
190
280
180
260
170
240
160
220
150
200
140
180
130
160
120 00
01
02
03
04
05
06
Skuldkvot (vänster skala) Chart 3:20
07
08
09
10
11
12
13
Konsumtion (höger skala) Source: Macrobond
Housing prices in Norway Index, 2003=100 220
200
180
160
140
120
100
03 Chart 3:21
04
05
06
07
08
09
10
11
12
13
14
Sources: Norwegian Association of Real Estate Agents and the Riksbank
Late payments Per cent of outstanding loans 25
20
15
10
5
0
01
02
03
04
05
Estonia (more than 60 days)
Chart 3:22
06
07
08
09
Latvia (more than 90 days)
10
11
12
13
Lithuania (more than 60 days)
Sources: Eesti Pank, Financial and Capital Market Comission and Lietuvos Bankas
Chapter 4
2014-06-04
The major Swedish banks' income and costs Rolling four quarters, SEK billion
Chart 4:1
Sources: Bank reports and the Riksbank
Costs in relation to income Rolling four quarters, per cent
Chart 4:2
Sources: SNL Financial and the Riksbank
Loan losses in relation to lending to the public Rolling four quarters, per cent
Chart 4:3
Sources: SNL Financial and the Riksbank
Return on equity Rolling four quarters, per cent
Chart 4:4
Sources: SNL Financial and the Riksbank
Lending to the public of the major Swedish banks SEK billion 8 000 7 000 6 000
5 000 4 000
3 000 2 000 1 000 0 05
Chart 4:5
06
07
08
09
10
11
12
13
Swedish mortgages
Non-financial companies, Sweden
Other lending, Sweden
Lending, abroad
14
Sources: Statistics Sweden, bank reports and the Riksbank
The major Swedish banks’ loan losses SEK billion, quarterly 18 16 14 12 10 8 6 4 2 0 -2 -4
08 Sweden Chart 4:6
09 Denmark
10 Norway
11 Finland
12
13
The Baltic countries
14
Other countries
Sources: Bank reports and the Riksbank
The major Swedish banks impaired loans as a percentage of total lending, the Baltic countries Per cent
Chart 4:7
Sources: Bank reports and the Riksbank
Forecast of the major Swedish banks loan losses according to the Riksbank's main scenario SEK billion per year 12
10
8
6
4
2
0 14 Sweden Chart 4:8
Denmark
15 Norway
Finland
16 The Baltic countries
Other countries Source: The Riksbank
Development of the major Swedish banks' core Tier 1 capital ratios, Basel II Percentage points 18 16 14 12 10
8 6 4 2 0 Core tier 1 ratio, December 2008
Chart 4:9
Change in core tier 1 capital
Change in average risk-weights
Change in total assets
Core tier 1 ratio, December 2013
Source: Bank reports and the Riksbank
The major Swedish bank's core Tier 1 capital ratios and core Tier 1 capital in relation to total assets Per cent
Chart 4:10
Sources: SNL Financial and the Riksbank
Swedish and European banks' core tier 1 capital ratios and equity in relation to total assets December 2013, per cent 20 Handelsbanken Swedbank
Core tier 1 capital ratio
18
SEB
16
Nordea 14
12
10
8
1
2
3
4
5
6
7
8
9
Equity / total assets Chart 4:11
Sources: SNL Financial and the Riksbank
The major Swedish banks' CET 1 capital ratios and requirements March 2014, per cent
Chart 4:12
Sources: Bank reports and the Riksbank
CET 1 capital ratios according to Basel III, initially and in the stress test Per cent 25
20
15
10
5
0 Q1 14
14
15
16
Handelsbanken Chart 4:13
Q1 14
14
15
Nordea
16
Q1 14
14
15
SEB
16
Q1 14
14
15
16
Swedbank Sources: Bank reports and the Riksbank
The major Swedish banks' CET 1 capital ratios in the stress test and changes in them over time Per cent
Chart 4:14
Sources: Bank reports and the Riksbank
Leverage ratios, initially and in the stress test Per cent 6
5
4
3
2
1
0 Q1 14
Chart 4:15
14
15
Handelsbanken
16
Q1 14
14
15
Nordea
16
Q1 14
14
15
SEB
16
Q1 14
14
15
16
Swedbank Sources: SNL Financial and the Riksbank
The major Swedish banks' counterparty exposures through securities holdings SEK billion 900 800 700 600 500 400 300 200 100
0 07
08
09
10
11
12
13
14
Other exposures The 15 largest counterparty exposures (excl. the major Swedish banks)
The major Swedish banks
Chart 4:16
Source: The Riksbank
The Riksbank's structural liquidity measure December 2013, per cent
Average Swedbank Handelsbanken Nordea SEB 0 Chart 4:17
20
40
60
80
100
120
140
Sources: Liquidatum and the Riksbank
Average maturity of issued Swedish covered bonds Number of years
Chart 4:18
Source: Association of Swedish Covered Bond issuers
Swedish money market funds' assets per legal domicile SEK billion 250
200
150
100
50
0 07
08
09 Sweden
Chart B4:1
10 Luxembourg
11
12
13
Finland Source: Morningstar
Outstanding Swedish debt instruments per remaining maturity and type of issuer March 2014, SEK billion 1600 1400 1200 1000 800 600
400 200 0 Certificates
< 1 year maturity
Banks, incl. covered bonds Government, regional, municipalities Chart B4:2
< 2 years maturity
Non-financial corporations Source: Statistics Sweden
US money market funds' investments in different countries' banking sectors USD billion 600
500
400
300
200
100
0 11
12 Sweden
Chart B4:3
13 Euro area
14 Other Europe Sources: ICI and the Riksbank
The major Swedish bank's market funding March 2014, SEK Billion 3000
2500
2000
1500
1000
500
0 Covered Bonds SEK
Chart B4:4
Other bonds
Other currencies incl. USD
Certificates
Other currencies excl. USD
USD
Sources: Bank reports and the Riksbank
US money market funds' investments in the country's banks in relation to the size of the banking sector April 2014, per cent Belgium France Italy Luxembourg Netherlands Norway Switzerland Spain United Kingdom Sweden Germany Austria 0 Chart B4:5
1
2
3
4
5
6
Sources: SNL Financial, ECB, ICI and the Riksbank
